Interest Rate Derivatives

2020 YTD vs. 2019 YTD

  • Total IRD traded notional and trade count increased by 17% and 22%, respectively
    • Fixed-for-floating IRS traded notional decreased by 7%, while trade count increased by 22%
    • FRAs traded notional and trade count increased by 5% and 11%, respectively
    • OIS traded notional and trade count increased by 87% and 78%, respectively
  • 91% of total traded notional was cleared vs. 89% last year
  • 54% of total traded notional was executed On SEF vs. 60% last year

2020 Current Week vs. 2019 Current Week

  • Total IRD traded notional decreased by 15%, while trade count increased by 5%
    • Fixed-for-floating IRS traded notional decreased by 12%, while trade count increased by 2%
    • FRAs traded notional decreased by 6%, while trade count increased by 30%
    • OIS traded notional decreased by 28%, while trade count increased by 14%
  • 94% of total traded notional was cleared vs. 90% last year
  • 72% of total traded notional executed On SEF vs. 66% last year

 

Interest Rate Derivatives: Benchmark Data

Week Ending April 10, 2020

  • SOFR traded notional totaled $14.0 billion, including $12.6 billion of basis swaps. Trade count totaled 63, including 25 basis swaps
  • SONIA traded notional totaled $199.3 billion, including $0.6 billion of basis swaps. Trade count totaled 387, including 11 basis swaps
  • There were no SARON trades
  • TONA traded notional and trade count was $5.4 billion and 8, respectively
  • €STR traded notional and trade count was $0.1 billion and 2, respectively

YTD Ending April 10, 2020

  • SOFR traded notional totaled $306.1 billion, including $150.2 billion of basis swaps. Trade count totaled 1,492, including 433 basis swaps
  • SONIA traded notional totaled $8.3 trillion, including $79.9 billion of basis swaps. Trade count totaled 9,020, including 565 basis swaps
  • SARON traded notional and trade count was $7.6 billion and 18, respectively
  • TONA traded notional totaled $121.2 billion, including $30 million of basis swaps. Trade count totaled 274, including 1 basis swap
  • €STR traded notional and trade count was $5.0 billion and 43, respectively

Click Here to View Historical Benchmark Data

 

Credit Derivatives 

2020 YTD vs. 2019 YTD

  • Total credit derivatives traded notional and trade count increased by 65% and 59%, respectively
    • CDX HY traded notional and trade count increased by 74% and 67%, respectively
    • CDX IG traded notional and trade count increased by 81% and 75%, respectively
    • iTraxx Europe traded notional and trade count increased by 83% and 67%, respectively
  • 83% of total traded notional was cleared vs. 81% last year
  • 80% of total traded notional was executed On SEF vs.77% last year

2020 Current Week vs. 2019 Current Week

  • Total credit derivatives traded notional and trade count increased by 82% and 70%, respectively
    • CDX HY traded notional and trade count increased by 155% and 111%, respectively
    • CDX IG traded notional and trade count both increased by 89%
    • iTraxx Europe traded notional and trade count increased by 76% and 77%, respectively
  • 83% of total traded notional was cleared vs. 77% last year
  • 80% of total traded notional executed On SEF vs. 73% last year